The headline only says that 40% of them want to leave, it doesn't say the reason has anything to do with immigration issues. Talk about dishonest.
If I had to guess (note that I'm guessing not saying this is actually the case) it would be because the conservatives in charge want to treat women like pieces of property instead of human beings with individual rights
They will have to apply for citizenship and follow the immigration rules of the new country of their choice. So you leave a country for enforcing immigration laws; and move to a country that forces you to follow immigration laws